| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0129 |
| 来源ID | Technical Working Paper 0129 |
| Asypmtotic Filtering Theory for Univariate Arch Models | |
| Daniel B. Nelson; Dean P. Foster | |
| 发表日期 | 1994-04-01 |
| 出版年 | 1994 |
| 语种 | 英语 |
| 摘要 | This paper builds on this earlier work by deriving the asymptotic distribution of the measurement error. This allows us to approximate the measurement accuracy of ARCH conditional variance estimates and compare the efficiency achieved by different ARCH models. We are also able to characterize the relative importance of different kinds of misspecification; for example, we show that misspecifying conditional means adds only trivially (at least asymptotically) to measurement error, while other factors (for example, capturing the "leverage effect," accommodating thick tailed residuals, and correctly modelling the variability of the conditional variance process) are potentially much more important. Third, we are able to characterize a class of asymptotically optimal ARCH conditional variance estimates. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0129 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562084 |
| 推荐引用方式 GB/T 7714 | Daniel B. Nelson,Dean P. Foster. Asypmtotic Filtering Theory for Univariate Arch Models. 1994. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0129.pdf（3488KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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